 Does U.S. Macroeconomic News Make the South African Stock Market Riskier?Esin Cakan () and Rangan Gupta No 201646, Working Papers from University of Pretoria, Department of Economics Abstract: This article analyzes the impactof US macroeconomic announcement surprises on the volatility of the South African equity market. We employ the asymmetric GJR-GARCH model that that allows for both positive and negative surprises about inflation and unemployment rate announcements in the U.S. By examining daily data on South African stock market returns from 31 May 1994 to 8 March 2016, we find that shocks to volatility are persistent and asymmetric. While bad news about US inflation does not affect the volatility of South African stock returns, good news tend to increase the volatility. Further, the South African stock market becomes more risky with an unexpected increase in the US unemployment rate and less risky with the an unexpected decrease in the US unemployment rate, with the latter effect being stronger than the former. Our findings demonstrate that US economic conditions may have an impact on the risk profile of the South African equity market. Keywords: Asymmetric GARCH; US macroeconomic news; surprises; South Africa (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201646 Access Statistics for this paper More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC. |
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